Subsampling tests for variance changes in the presence of autoregressive parameter shifts

Authors:
Hao Jin;Jinsuo Zhang
Affiliations:
School of Science, Xi'an University of Science and Technology, Xi'an, Shaanxi 710054, PR China;Research Center for Energy Economics and Management, Xi'an University of Science and Technology, Xi'an, Shaanxi 710054, PR China and School of Management, Xi'an University of Science and Technolog ...
Venue:
Journal of Multivariate Analysis
Year:
2010

Citing 3
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Abstract

In this paper, we consider the problem of testing for variance changes in the linear autoregressive processes including AR(p) processes when there are autoregressive parameter shifts. In performing a test, we employ the conventional residual CUSUM of squares test (RCUSQ) statistic. The RCUSQ test is based on the subsampling method introduced by Jach and Kokoszka (2004) [16] to eliminate the influence caused by autoregressive parameter shifts. It is shown that under regularity conditions, the test statistic behaves asymptotically the function of a standard Brownian bridge. We establish the asymptotic validity of this method and assess its performance both theoretically and numerically.